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Let {B t , t 0} be the standard Brownian motion. (a) Find the probability P(B t1 + B t2 > a), assuming that t

Let {Bt, t 0} be the standard Brownian motion.

(a) Find the probability P(Bt1+ Bt2> a), assuming that t2> t1.

Let {Xt= exp(Bt), t 0} be the geometric Brownian motion.

(b) Find the expected value E[Xt].

(c) Find the variance V[Xt].

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